I've done that once before falling asleep, and more often while napping. It feels like I have conscious control of my imagination- whatever I think about becomes my reality. I find there's usually a theme that it starts out with, and while I might be able to change that I usually just roll with it.

For me it's easier to wake up from it than to fall asleep. Usually to actually fall asleep I have to wake myself up for 5 minutes then drift off again. However, I know that if I open my eyes the effect is gone, so I choose not to which is what makes it "difficult" to wake up. I have successfully opened my eyes and even moved around a decent amount, and then gotten back into that state, one time.

One of my best experiences was using it to fly.